private ArbitrageOrderSettlement CalculateSettlementResult()
{
USeArbitrageOrder arbitrageOrder = null;
lock (m_syncObj)
{
arbitrageOrder = m_arbitrageOrder.Clone();
}
List <USeOrderBook> orderBookList = arbitrageOrder.GetAllOrderBooks();
USeInstrument buyInstrument = arbitrageOrder.OpenArgument.BuyInstrument;
USeInstrument sellInstrument = arbitrageOrder.OpenArgument.SellInstrument;
USeMarketData buyMarketData = USeManager.Instance.QuoteDriver.Query(buyInstrument);
USeMarketData sellMarketData = USeManager.Instance.QuoteDriver.Query(sellInstrument);
USeInstrumentDetail buyInstrumentDetail = USeManager.Instance.OrderDriver.QueryInstrumentDetail(buyInstrument);
USeInstrumentDetail sellInstrumentDetail = USeManager.Instance.OrderDriver.QueryInstrumentDetail(sellInstrument);
decimal buyProfit = CalculateProfit(orderBookList, buyInstrumentDetail, buyMarketData);
decimal sellProfit = CalculateProfit(orderBookList, sellInstrumentDetail, sellMarketData);
decimal totalProfit = buyProfit + sellProfit;
ArbitrageOrderSettlement settlemt = new ArbitrageOrderSettlement()
{
BuyInstrumentProfit = buyProfit,
SellInstrumentProfit = sellProfit,
Profit = totalProfit
};
return(settlemt);
}
/// <summary>
/// 初始化套利下单机。
/// </summary>
/// <param name="arbitrageOrder">套利单信息。</param>
/// <param name="orderDriver">下单驱动。</param>
/// <param name="quoteDriver">行情驱动。</param>
/// <param name="alarmManager">预警管理类。</param>
public void Initialize(USeArbitrageOrder arbitrageOrder, USeOrderDriver orderDriver, USeQuoteDriver quoteDriver, AlarmManager alarmManager)
{
if (m_initialized)
{
throw new ApplicationException(string.Format("{0} already initialized.", this));
}
if (arbitrageOrder == null)
{
throw new ArgumentNullException("arbitrageOrder", "arbitrageOrder is null");
}
if (orderDriver == null)
{
throw new ArgumentNullException("orderDriver", "orderDriver is null");
}
if (quoteDriver == null)
{
throw new ArgumentNullException("quoteDrvier", "quoteDrvier is null");
}
if (alarmManager == null)
{
throw new ArgumentNullException("alarmManager", "alarmManager is null");
}
try
{
lock (m_syncObj)
{
m_arbitrageOrder = arbitrageOrder.Clone();
m_orderDriver = orderDriver;
m_quoteDriver = quoteDriver;
}
m_orderDriver.OnOrderBookChanged += OrderDriver_OnOrderBookChanged;
m_quoteDriver.OnMarketDataChanged += QuoteDriver_OnMarketDataChanged;
if (arbitrageOrder.OpenArgument != null)
{
m_quoteDriver.Subscribe(arbitrageOrder.OpenArgument.BuyInstrument);
m_quoteDriver.Subscribe(arbitrageOrder.OpenArgument.SellInstrument);
}
string text = string.Format("初始化套利单完成,当前状态为[{0}]", arbitrageOrder.State.ToDescription());
AutoTraderNotice notice = CreateTraderNotice(text);
SafeFireAutoTraderNotice(notice);
WriteTraderNoticeLog(notice);
}
catch (Exception ex)
{
string text = string.Format("初始化套利单失败,原因:{0}", ex.Message);
AutoTraderNotice notice = CreateTraderNotice(text);
SafeFireAutoTraderNotice(notice);
WriteTraderNoticeLog(notice);
throw new Exception("初始化自定下单机失败");
}
m_initialized = true;
}
